In one of the more quirky results of the rush for short-term protection and macro overlays this morning, the price of index protection was bid so far above the 'fair-value' based on the volatility of the underlying S&P 500 index components that the implied correlation (a modeled measure of the relationship between index and single-name implied vol demand - often reflective of 'crash risk' sentiment) for Jan 2011 exploded above 100%. Yes, we know that is 'impossible', but the point being that last week's smash higher in equity (and credit), as we noted at the time, had the feel of hedgers capitulating which leaves today's growing tensions (Europe and domestic) enough to push nervous traders massively into liquid hedges (macro protection).

Implied Correlation for Jan 2012 was also excessively high this morning and is holding above 80% - record highs - indicating medium- and short-term demand for protection is very high and we wonder if the huge divergence between the Jan 2011 and Jan 2012 'crash risk' demand suggests timing expectations of Dec 2011/Jan 2012 as a crucial period.

Nah...we've only just begun the argument. Three years ago Bush "saved Capitalism" by shoving the mixed economy deeper into the statists hands. Since then, many people have been waking up and speaking loudly to and at their government and others have been speaking loudly to and at the bankers who keep our government "representatives" lolling about in the lap of luxuries in return for regulating competition out of the market.

The incredible corruption is decades old but we’ve only just started to demand that it change. Let's do it right.

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